Stylized facts and regime changes: Are prices procyclical?

• 成果类型: Article
• 署名作者: Ravn, MO; Sola, M
• 署名单位: Aarhus University; University of London; Birkbeck University London; University of London; London Business School
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(95)01231-1
• 发表日期: 1995
• 页码: 497-526
• 关键词: growth and inflation; regime switching; countercyclical prices

摘要

We investigate empirically the stability of the correlation between output growth and inflation using a technique that allows for changes in regime. We look at recent quarterly data for the G4 and at historical data for the U.S. and U.K. We find evidence of changes both in means and variances in both sources of data. In the quarterly data we find that the covariance between output growth and inflation is typically negative. In the historical data we find, as suggested in previous studies, that inflation was procyclical especially in the inter-war years, but has been countercyclical in the post-war period.